Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level.

We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure. Copyright 2001 by Blackwell Publishing Ltd

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Year of publication:	2001
Authors:	Harvey, David I ; Leybourne, Stephen J ; Newbold, Paul
Published in:	Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 63.2001, 5, p. 559-75
Publisher:	Department of Economics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005276694